No. Make a new wad. Name the your sprites the same as the sprites they're replacing.
For example, say you wanted to replace EMERA0, a chaos emerald sprite. Simply put a new sprite into a new wad and name it that. Same applies for any other sprites. You don't add sprites you haven't edited, though. Also, you'll need to put it between S_START and S_END tags, like this.
S_START
EMERA0
EMETA0
PLAYA2A8
any other sprites
S_END
But may I add this: Don't jump into a large scale mod until you have much more experience in editing SRB2. Trust me.